I was under the impression you only needed the latest CU, that they contains all previous CUs. But I was reading some about slipstreaming on Todd Klindt's blog were he says:

Since the patches are discrete, something that's patched in June (like
filterpack-x-none.msp and wasrvwfe-x-none.msp), might not be updated
in August. In that case, if you want the all, you have to extract all
the CUs and copy them over in order.

I tend to install all Service Packs and then only CUs that fix a feature that I use. (See the description of the particular CU.) Installing a CU I get all previous fixes anyway but at least I need not coddle the system so often - just when it really fixes something I work with.

Yeah, that's how I have done it. But the sentence from the blog post made me wonder.
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Anders AuneApr 30 '12 at 8:11

Puzzling the log post is, indeed. Not cumulating would be different than other MSP products and thus confusing for the customers. Technically, it is advantageous to release fixes cumulatively in a bigger bunch because it decreases effors for regression tests. Also, if you released separately you'd have to test mutual compatibility of fixes. And even doing that, sometimes it is physically impossible to separate two fixes because they share the same assembly or class. I think than MS goes the traditional way of integrating fixes from dev to stable SP branch and releasing it from time to time.
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Ferdinand PrantlApr 30 '12 at 9:15